Markov chain models for threshold exceedances
From MaRDI portal
Recommendations
Cited in
(71)- Bayesian inference for clustered extremes
- Waiting times of exceedances in random threshold models
- Modelling extremes of time-dependent data by Markov-switching structures
- Extremal attractors of Liouville copulas
- The extremal index of a higher-order stationary Markov chain
- An exploratory first step in teletraffic data modeling: evaluation of long-run performance of parameter estimators.
- The joint distribution of the sum and maximum of dependent Pareto risks
- \(k\)th-order Markov extremal models for assessing heatwave risks
- MixedTrails: Bayesian hypothesis comparison on heterogeneous sequential data
- Multivariate peaks over thresholds models
- Sparse moving maxima models for tail dependence in multivariate financial time series
- Estimation of extreme values by the average conditional exceedance rate method
- A polynomial model for bivariate extreme value distributions
- Semi-parametric modeling of excesses above high multivariate thresholds with censored data
- Parametric models for distributions when interest is in extremes with an application to daily temperature
- Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
- Modeling extreme values of processes observed at irregular time steps: application to significant wave height
- Measuring the extremal dependence
- Modelling dependence uncertainty in the extremes of Markov chain
- Modeling multivariate extreme events using self-exciting point processes
- Approximate distributions of clusters of extremes
- Likelihood estimators for multivariate extremes
- Joint behaviour of precedences and exceedances in random threshold models
- A Markov-switching model for heat waves
- A latent process model for temporal extremes
- Workload portfolio optimization for virtualized computer systems based on semiparametric quantile function estimation
- Latent process modelling of threshold exceedances in hourly rainfall series
- The effect of the Markov chain condition on the prediction of extreme values
- scientific article; zbMATH DE number 4143203 (Why is no real title available?)
- A new class of models for bivariate joint tails
- scientific article; zbMATH DE number 3917511 (Why is no real title available?)
- Clustering of Markov chain exceedances
- Stationary max-stable processes with the Markov property
- Models for the extremes of Markov chains
- Functionals of clusters of extremes
- Trend in high tropospheric ozone levels. Application to paris monitoring sites
- Time-varying Markov models for binary temperature series in agrorisk management
- A hierarchical model for serially-dependent extremes: a study of heat waves in the western US
- Markov chain models, time series analysis and extreme value theory
- Asymptotics of Markov kernels and the tail chain
- Simulation of multivariate extreme values
- One- versus multi-component regular variation and extremes of Markov trees
- On the measurement and treatment of extremes in time series
- Bayesian uncertainty management in temporal dependence of extremes
- Extreme values identification in regression using a peaks-over-threshold approach
- Markov tail chains
- Modeling Spatial Processes with Unknown Extremal Dependence Class
- Extreme events of Markov chains
- Statistical advances in environmental science
- Total positivity in multivariate extremes
- A modeler's guide to extreme value software
- Extreme values statistics for Markov chains via the (pseudo-) regenerative method
- Modeling of claim exceedances over random thresholds for related insurance portfolios
- Distributed Inference for Spatial Extremes Modeling in High Dimensions
- Transformed-linear models for time series extremes
- Peaks Over Thresholds Modeling With Multivariate Generalized Pareto Distributions
- An exponential-gamma mixture model for extreme Santa Ana winds
- Modeling short-ranged dependence in block extrema with application to polar temperature data
- Temporal evolution of the extreme excursions of multivariate kth order Markov processes with application to oceanographic data
- New generalized extreme value distribution with applications to extreme temperature data
- Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
- Long-term spatial modelling for characteristics of extreme heat events
- Neural Bayes estimation and selection of complex bivariate extremal dependence models
- Threshold estimation of Markov models with jumps and interest rate modeling
- Extremal clustering in non-stationary random sequences
- Multivariate generalized Pareto distributions
- Influence measures and robust estimators of dependence in multivariate extremes
- Some notes on multivariate generalized Pareto distributions
- Tail behaviour and extremes of two-state Markov-switching autoregressive models
- Modeling rare events through a \(p\)RARMAX process
- The pairwise beta distribution: A flexible parametric multivariate model for extremes
This page was built for publication: Markov chain models for threshold exceedances
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4364896)